CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.0525	3.90***
αARCH	0.2299	5.67***
βGARCH	0.7748	33.89***
γleverage	-0.0288	-0.41

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0525	3.90***
α ARCH Response to squared shocks	0.2299	5.67***
β GARCH Volatility persistence	0.7748	33.89***
γ leverage Additional response to negative shocks	-0.0288	-0.41

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Xior Student Housing NV Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Xior Student Housing NV Analyses